Oh, why can't they do it at Oxford the way that they do it at Yale?

Yale is different. Researchers at Oxford established this when they were looking into the private life of hedgehogs.

Nature (or so we were told) had protected the little creatures against inappropriate advances - except at Yale, where a new technology had been developed, based on the shaving of spikes.

When it comes to managing money, Yale is different too. It can now pay almost a third of its expenses out of its own pocket. Our own universities, wrestling with their paymasters, must gape with envy. How are they to keep their best and brightest, or even to finance their researches into hedgehogs?

Trustees of charities, managers of pension funds, investors and savers of all sizes can look at Yale's results and wonder what they have been missing. For years now, their own pockets have been getting shallower as the demands on them increase. Something or somebody will have to give.

Michael Saunders of Citigroup watches what is happening to our personal wealth. In the last two years, the value of the investments that we own directly - shares, government stocks and unit trusts - has plummeted. After allowing for inflation, it is down from £765 billion to £442 billion, leaving every one of us about £4,000 worse off.

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The investments we own indirectly, through life assurance policies and pension schemes, have fallen less steeply but have lost us even more money. They are down from £1,674 billion to £1,233 billion. We can count ourselves lucky that the ever-rising prices of our houses have been baling us out - so far, that is. They now seem to be flagging.

In these stormy times, a ray of clear sunshine has focused itself on New Haven, Connecticut, where the managers of Yale's endowment have been able to make money.

A return of 0.7pc is respectable, they think, in a year when share prices tumbled and most other endowment funds shrank. It rounds off a decade in which the endowment grew from $2.8 billion to $10.5 billion. The performance over the last two decades is slightly better.

How do they do it at Yale? Evidently not by sticking to the middle of the road. Investment managers are always happy there. Paradoxically, it makes them feel safe. When their shares rise, that speaks for itself, and if they fall, they may still be in line with the markets - although boring old cash in hand would, of course, have outperformed them.

It was a mantra of the 1990s that shares had proved themselves the best investment, over time, and that the biggest risk was to be out of them. Bigger risks then showed up, but Yale, in any case, is not persuaded. Only 15pc of its money is invested in the shares of American companies. For its peer group, the figure is 40pc.

Hindsight, that greatest of aids to investment, now tells us that we should have been in bonds all the time, or at least since 1987. The life assurers have waited for shares to fall and bonds to rise before making the switch. Does Yale agree? Not exactly. Only 10pc of its money is in bonds. Too many other investors know too much about them, it thinks.

Yale likes to invest overseas, looking for undiscovered companies and countries, but much of its money is at one remove from any stock market. It collects property, oil and gas, and timberland. It provides venture capital and finances buyouts. It looks for what it calls absolute return - betting on events like mergers, or taking hedged positions where a price is out of line.

Don't try this at home. Few of us would be suited by a portfolio of Christmas trees and hedges.

The point is that Yale has defied the conventional wisdom, which teaches us that markets know more and know better than we do, so that it pays to go along with them. Some markets are more efficient than others, and a market's inefficiency is an investor's opportunity.

There is a sense in which less efficient markets are riskier markets, but risk and reward go together, or should do, and Yale tries to manage and match them. Quoted investments can almost always be turned into cash, at a price, but disengaging from an oilfield may be harder. An investor who takes the long view may conclude the reward is worth it. Yale seems to think so.

Those who can, do, but those who teach may have ideas of their own. As a display of applied financial economics, Yale's performance cannot have been matched since the era when John Maynard Keynes was bursar of King's College, Cambridge.

The trick will be harder from now on, all the same. Yale has been used to reeling off rates of return of 16pc or 17pc, year after year. Now it is looking for a long-term growth rate, aiming off for inflation, of 6pc. Gone with the bull market is the idea that making money in markets is automatic, or easy. Brain activity is needed.

Sir Geoffrey Holland, who was vice-chancellor of Exeter, thinks that universities should be more like supermarkets. In that case, with any luck, someone will bid for them. Why join the queue to buy Safeway when you could put together a portfolio of rebadged polytechnics, or even obscure Oxford colleges, crying out for rationalisation?

This is just the kind of imperfect market that Yale would love to exploit. It might even cure our own great universities of relying on their paymasters. Yale knows better than that.